Using data from a European app-based investment funds aiming at younger and first-time investors, we find that this group acts surprisingly “smart” when it comes to investing: The analyzed group of mostly under-30 German and Austrian investors clearly prefers a long-term continuous...

Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...

The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending...